My $.02 says not to worry IF you're having a professional install the new gas system. They're familiar with the codes and proper installation techniques. From what I've 'heard', most explosions and the like are usually due to incompetence by homeowners trying to save $$$ or less-than-top-quality parts and such.
I'd be more concerned with making sure the area that 'houses' the furnace has good ventilation to the outside. Carbon Monoxide poisoning has killed a number of people in the Philly, PA area this winter due to collapsing chimneys and clogged vents. As far as gas explosions, truthfully, take whatever precautionary measures you wish and feel comfortable. I don't have a recommendation regarding your post but I just wanted to allay your fears somewhat. Pay a pro and make sure you have good venting and invest in a CO2 detector (or 2 or 3). After that, enjoy!